1 citations · 1 across the 2 of their papers we have counts for
3 papers
q-fin.GN2021
A note on the CAPM with endogenously consistent market returns
Andreas Krause
I demonstrate that with the market return determined by the equilibrium returns of the CAPM, expected returns of an asset are affected by the risks of all assets jointly. Another i…
q-fin.PM2009
Evaluating the performance of adapting trading strategies with different memory lengths
Andreas Krause
We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with different memory lengths using the strateg…
cond-mat.stat-mech2000★ 1 cited
Microstructure Effects on Daily Return Volatility in Financial Markets
Andreas Krause
We simulate a series of daily returns from intraday price movements initiated by microstructure elements. Significant evidence is found that daily returns and daily return volatili…